Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 4 | 3 | 4 |
| Score | 2.68 | 1.48 | 2.24 |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 2.08 | 2.07 | 2.03 |
| Idiosyncratic Volatility | 2.31 | 2.06 | 2.53 |
Annualized return and volatility
| VIMAX | |
|---|---|
| Annualized Return | 0.0974 |
| Annualized Std Dev | 0.2005 |
| Annualized Sharpe (Rf=0%) | 0.4858 |
Row
Daily Return Statistics
| VIMAX | |
|---|---|
| Observations | 4639.0000 |
| NAs | 475.0000 |
| Minimum | -0.1019 |
| Quartile 1 | -0.0049 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0065 |
| Maximum | 0.1186 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0126 |
| Skewness | -0.2517 |
| Kurtosis | 9.0237 |
Downside Risk
| VIMAX | |
|---|---|
| Semi Deviation | 0.0092 |
| Gain Deviation | 0.0088 |
| Loss Deviation | 0.0101 |
| Downside Deviation (MAR=210%) | 0.0137 |
| Downside Deviation (Rf=0%) | 0.0090 |
| Downside Deviation (0%) | 0.0090 |
| Maximum Drawdown | 0.5888 |
| Historical VaR (95%) | -0.0192 |
| Historical ES (95%) | -0.0307 |
| Modified VaR (95%) | -0.0189 |
| Modified ES (95%) | -0.0330 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-16 | 2009-03-09 | 2011-02-08 | -0.5888 | 917 | 426 | 491 |
| 2002-04-17 | 2002-10-09 | 2003-11-06 | -0.3190 | 404 | 125 | 279 |
| 2011-07-08 | 2011-10-03 | 2012-03-13 | -0.2461 | 174 | 62 | 112 |
| 2018-08-30 | 2018-12-24 | 2019-04-05 | -0.2122 | 153 | 82 | 71 |
| 2015-05-22 | 2016-02-11 | 2016-07-22 | -0.1968 | 299 | 186 | 113 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | VIMAX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | 0.0 | NA |
| 2002 | -0.2 | 2.0 | 0.0 | 0.3 | 0.0 | -2.4 | -2.2 | 0.0 | 2.2 | 2.0 | 0.0 | 0.0 | 1.6 |
| 2003 | 0.0 | 0.0 | 0.7 | -0.2 | 0.0 | 0.5 | -0.7 | 0.0 | 1.9 | 0.0 | 1.3 | 0.0 | 3.4 |
| 2004 | 0.0 | 1.4 | 0.7 | 0.0 | 0.1 | -1.1 | 0.0 | 0.6 | 1.5 | 0.1 | 1.3 | 0.0 | 4.5 |
| 2005 | 0.7 | 0.6 | -0.2 | 0.0 | 0.8 | 0.6 | 0.2 | 0.2 | 0.0 | 0.1 | 1.6 | 0.0 | 4.6 |
| 2006 | 0.0 | 1.1 | 0.0 | -0.1 | 1.3 | 0.0 | -0.7 | 0.5 | 0.0 | -1.0 | -0.2 | 0.0 | 1.1 |
| 2007 | 0.8 | -0.4 | 0.0 | 0.2 | 0.4 | 0.0 | 0.1 | 0.0 | 1.5 | -2.3 | 0.0 | 0.0 | 0.3 |
| 2008 | 2.3 | 0.0 | 3.7 | 1.4 | 0.0 | 0.2 | -0.4 | 0.0 | -1.0 | 0.0 | -10.2 | 0.0 | -4.5 |
| 2009 | 0.0 | 0.0 | 1.3 | 0.3 | 3.7 | 0.7 | 0.0 | -2.6 | -3.3 | 0.0 | 1.6 | 0.0 | 1.5 |
| 2010 | 1.9 | 1.7 | 1.0 | 0.0 | -2.6 | -0.4 | 0.0 | 3.5 | 0.3 | 0.0 | 2.2 | 0.0 | 7.7 |
| 2011 | 1.5 | -1.9 | 0.6 | 0.0 | -2.4 | 1.6 | -0.8 | -1.5 | 0.0 | -2.9 | -0.1 | 0.0 | -5.8 |
| 2012 | 1.5 | 0.8 | 0.0 | 0.6 | -3.1 | 0.0 | -0.6 | 0.0 | 0.0 | 1.8 | 0.0 | 0.0 | 0.9 |
| 2013 | 0.8 | 0.2 | -0.9 | -1.1 | 0.0 | 0.8 | 1.8 | 0.0 | 1.1 | 0.2 | 0.0 | 0.0 | 2.9 |
| 2014 | 0.0 | 0.0 | 1.0 | 0.2 | 0.0 | 0.7 | -0.2 | 0.0 | -1.5 | 0.0 | -1.1 | 0.0 | -0.9 |
| 2015 | 0.0 | 0.0 | -0.4 | 1.2 | 0.2 | 0.6 | 0.0 | -2.8 | 0.1 | 0.0 | 0.9 | 0.0 | -0.4 |
| 2016 | 0.2 | 2.3 | 0.4 | 0.0 | 0.2 | 0.3 | -0.4 | 0.1 | 0.0 | -0.8 | -0.8 | 0.0 | 1.6 |
| 2017 | -0.1 | 1.2 | 0.0 | 0.1 | 1.2 | 0.0 | 0.2 | 0.4 | 0.0 | -0.1 | -0.3 | 0.0 | 2.5 |
| 2018 | -0.1 | -0.9 | 0.0 | 0.1 | 1.0 | 0.0 | -0.6 | 0.0 | -0.2 | 1.7 | 0.0 | 0.0 | 1.0 |
| 2019 | 0.4 | 0.7 | 1.2 | -1.1 | 0.0 | 0.7 | -1.3 | 0.0 | -1.4 | 1.1 | 0.0 | 0.1 | 0.4 |
Row
Rolling Performance Chart
Snail Trail Chart
